Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Infore Environment Technology Group Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Infore Environment Technology Group Co., Ltd. Class A. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 5.7%, MDD -26.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR 1.4%, drawdown -87.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 5.7%, MDD -26.5%, Sharpe 0.52, 6% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 9.2%, MDD -64.1%, exposure 42%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.3%p higher than buy and hold, while drawdown improves by 60.7%p (CAGR 5.7%, MDD -26.5%, exposure 6%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=23, threshold=38 |
5.7% | -26.5% | 0.52 | 0.21 | 4.3x | 12 | 6% |
| SMA 크로스오버 fast=95, slow=331 |
9.2% | -64.1% | 0.44 | 0.14 | 10.2x | 19 | 42% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=18, mult=3 |
4.9% | -45.6% | 0.38 | 0.11 | 3.5x | 52 | 11% |
| Donchian 채널 돌파 entryN=109, exitN=35 |
6.3% | -72.8% | 0.38 | 0.09 | 5.0x | 40 | 27% |
| 볼린저 밴드 돌파 n=34, k=1.5 |
6.6% | -68.9% | 0.38 | 0.10 | 5.4x | 176 | 35% |
| Parabolic SAR step=0.01, maxStep=0.14 |
5.8% | -60.0% | 0.34 | 0.10 | 4.4x | 316 | 50% |
| Supertrend period=27, mult=1.7 |
5.3% | -64.3% | 0.33 | 0.08 | 3.9x | 346 | 49% |
| ROC 모멘텀 n=153, threshold=0.13 |
4.7% | -66.5% | 0.31 | 0.07 | 3.4x | 160 | 30% |
| EMA 크로스오버 fast=8, slow=24 |
4.0% | -68.7% | 0.28 | 0.06 | 2.8x | 242 | 50% |
| MACD fast=8, slow=23, signal=15 |
3.7% | -68.2% | 0.27 | 0.05 | 2.6x | 471 | 50% |
| Buy and hold | 1.4% | -87.2% | 0.24 | 0.02 | 1.4x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 23-day) is ≥ 38
- Sell — Sell when direction flips or the trend weakens (ADX < 38)